Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1455 |
| Annualized Std Dev | 0.1941 |
| Annualized Sharpe (Rf=0%) | -0.7493 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2986.0000 |
| NAs | 1.0000 |
| Minimum | -0.0790 |
| Quartile 1 | -0.0076 |
| Median | -0.0010 |
| Arithmetic Mean | -0.0005 |
| Geometric Mean | -0.0006 |
| Quartile 3 | 0.0066 |
| Maximum | 0.0663 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | -0.0001 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | 0.0514 |
| Kurtosis | 2.4985 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0085 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.9036 |
| Historical VaR (95%) | -0.0196 |
| Historical ES (95%) | -0.0273 |
| Modified VaR (95%) | -0.0199 |
| Modified ES (95%) | -0.0283 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-06-11 | 2020-08-04 | NA | -0.9036 | 2950 | 2792 | NA |
| 2009-05-28 | 2009-05-29 | 2009-06-05 | -0.0613 | 7 | 2 | 5 |
| 2009-05-08 | 2009-05-13 | 2009-05-21 | -0.0468 | 9 | 4 | 5 |
| 2009-04-20 | 2009-04-20 | 2009-04-22 | -0.0233 | 3 | 1 | 2 |
| 2009-04-27 | 2009-04-27 | 2009-04-29 | -0.0193 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | 1.2 | 5.7 | 0.5 | -3.3 | -0.7 | -2.6 | -2.1 | 2 | 1.5 | 1.9 |
| 2010 | 1 | 0 | 0.9 | -1.9 | -0.8 | -0.1 | -2.5 | 2.7 | -0.3 | 0.4 | 3.7 | -1.9 | 1.1 |
| 2011 | 1.3 | -0.3 | -0.5 | -0.7 | -2.6 | 0.7 | -1.1 | -2.4 | -1.8 | -3.7 | -0.1 | -0.7 | -11.3 |
| 2012 | 0.8 | 1.1 | 1.3 | 0.5 | -2.5 | 1.3 | 0.6 | -1.6 | -0.5 | 0.5 | -0.1 | 1.5 | 2.8 |
| 2013 | 0.8 | -0.7 | -0.6 | -0.9 | 0.7 | -0.5 | 2.8 | 0.5 | 0.4 | 1.6 | 0.3 | 1.3 | 5.8 |
| 2014 | -1 | 0.2 | 0.7 | -0.9 | 0.4 | 0.8 | -1.9 | -0.1 | -2.4 | 0.8 | 0.4 | -0.5 | -3.4 |
| 2015 | -2.3 | -0.2 | -1.2 | 2.4 | 1.3 | 1.1 | -1.8 | -0.2 | -0.1 | -1.1 | -1.4 | -0.8 | -4.4 |
| 2016 | 0.1 | 1.9 | 0 | -0.1 | -0.9 | -0.6 | -0.4 | -0.2 | 0.6 | -2.7 | 1.1 | -0.7 | -1.9 |
| 2017 | 0.9 | 2.8 | -0.8 | 0.6 | 0.6 | 0.5 | -0.7 | 0.8 | 0.1 | -0.3 | -1.6 | -0.4 | 2.6 |
| 2018 | 1.5 | -1.6 | -0.7 | 0.8 | 1.9 | 0.4 | 0.9 | -0.3 | 0.4 | 0.3 | -1 | -1.4 | 1.2 |
| 2019 | 1.1 | 1.1 | 1.9 | 0.2 | -1.9 | 0.5 | -2.9 | -0.1 | -0.9 | 0.7 | 0.3 | 0.5 | 0.4 |
| 2020 | -1.3 | -3.6 | -0.7 | -0.3 | 0.2 | 0.5 | 0.4 | -0.8 | -0.2 | 1.1 | 1.7 | -1.8 | -5 |
| 2021 | 0.3 | 0.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-04-16 61 SPY 86.5 0.0147 0.0481 0.106 0.0252 -0.368 -0.328 -0.237 GLD 85.8 -0.0193 -0.0092
2 2009-04-17 62.5 SPY 87.1 0.0067 0.0148 0.0895 0.0318 -0.365 -0.323 -0.229 GLD 85.2 -0.0069 -0.0126
3 2009-04-20 61 SPY 83.4 -0.0419 -0.028 0.0569 -0.0192 -0.398 -0.362 -0.267 GLD 87.0 0.0203 -0.0106
4 2009-04-21 62.1 SPY 85.1 0.0195 0.0084 0.109 0.0557 -0.386 -0.350 -0.253 GLD 86.9 -0.0007 -0.0055
5 2009-04-22 62.5 SPY 84.5 -0.0061 -0.0083 0.0282 0.00580 -0.387 -0.355 -0.245 GLD 87.4 0.0056 -0.0014
6 2009-04-23 62.2 SPY 85.4 0.0098 -0.0131 0.0592 0.0317 -0.380 -0.349 -0.242 GLD 88.8 0.0163 0.0348
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
